Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0491
Annualized Std Dev 0.2696
Annualized Sharpe (Rf=0%) 0.1821

Row

Daily Return Statistics

Close
Observations 3355.0000
NAs 1.0000
Minimum -0.1250
Quartile 1 -0.0075
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0082
Maximum 0.1762
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0170
Skewness 0.2821
Kurtosis 10.1772

Downside Risk

Close
Semi Deviation 0.0120
Gain Deviation 0.0126
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0165
Downside Deviation (Rf=0%) 0.0118
Downside Deviation (0%) 0.0118
Maximum Drawdown 0.6114
Historical VaR (95%) -0.0253
Historical ES (95%) -0.0401
Modified VaR (95%) -0.0227
Modified ES (95%) -0.0227
From Trough To Depth Length To Trough Recovery
2007-12-07 2008-11-20 2015-04-08 -0.6114 1845 242 1603
2015-04-28 2016-01-20 2017-05-09 -0.3273 513 185 328
2018-01-29 2020-03-19 2020-08-25 -0.3167 649 539 110
2021-02-18 2021-03-08 NA -0.0946 23 13 NA
2007-11-19 2007-11-21 2007-11-29 -0.0692 7 3 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA NA -1.1 0.1 -0.9
2008 0.1 -3.5 5 0.9 0.2 -1.6 0.2 -2.2 0.6 1.1 -5.4 -0.3 -5.1
2009 -0.3 -0.1 1.9 1.2 3.2 2.9 0.2 -0.2 -2.4 -3.5 2.6 0.3 5.4
2010 2.4 1.4 2.6 -1.7 -1.4 -0.1 -0.2 2.8 1.2 1.7 2.6 0.5 12.3
2011 1.7 -0.5 1.2 0.2 -1.2 1.3 0 -0.6 -4.5 -0.8 0 -0.3 -3.6
2012 1.1 0.8 0.8 0.6 -2.7 3.7 0 1 0.8 1.3 0.4 1.4 9.4
2013 0.5 -0.1 -1 -1 -1.5 -0.1 1.2 0.5 1.5 0.6 0.4 0.7 1.6
2014 -0.3 -0.6 1.1 0.4 -0.7 0.7 0.1 -0.3 -1.7 0.8 -1.9 0.4 -2
2015 -2.1 -0.3 0.5 0.7 -0.4 0.3 -0.2 -3.2 1 -0.1 1.3 -0.3 -2.9
2016 -0.8 2.8 -0.9 -1.4 0.2 1.1 0.5 0.3 0.6 0 -0.3 -0.2 1.8
2017 0.1 0.7 -0.9 0.4 1.1 0.1 0.8 0.2 1.1 1.2 -0.8 0.3 4.4
2018 -1.1 0.2 2 -0.2 1 1.5 -1 0.4 0.3 3.6 -0.3 0 6.4
2019 -0.8 0.4 1.8 -0.4 -0.2 1.4 -1.9 0.1 -0.4 1.9 -2.3 0.3 -0.3
2020 -2.7 -0.1 -3.7 -3.2 2.3 1 -1.1 1.5 1.2 -1.8 1.4 0.1 -5.3
2021 3.3 2.9 0.5 NA NA NA NA NA NA NA NA NA 6.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-11-16  49.4 SPY    146.  0.0017   0.0045  -0.0514   0.008    0.0412    0.237    0.607 GLD    77.8 -2.60e-3  -0.0539
2 2007-11-19  46.8 SPY    144. -0.0139   0.0004  -0.0395  -0.0081   0.0241    0.212    0.573 GLD    77.2 -6.60e-3  -0.0135
3 2007-11-20  48.1 SPY    145.  0.0061  -0.0232  -0.0392  -0.0137   0.0301    0.218    0.599 GLD    79.5  2.89e-2   0.0044
4 2007-11-21  46.0 SPY    142. -0.0205  -0.0406  -0.0664  -0.033    0.0084    0.207    0.568 GLD    79.4 -1.40e-3  -0.0115
5 2007-11-26  46.6 SPY    141. -0.0221  -0.0332  -0.0717  -0.0408   0.0002    0.193    0.498 GLD    81.3  6.00e-4   0.0457
6 2007-11-27  47.4 SPY    143.  0.0115  -0.0083  -0.0719  -0.008    0.0158    0.204    0.526 GLD    80.1 -1.48e-2   0.037 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart